1. A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph.
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2. Evidence of persistence in U.S. short and long-term interest rates. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, Juncal.
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3. Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA. (2017). Bayraci, Seluk.
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4. BRICS countries: real interest rates and long memory. (2014). Vieira, Flavio ; da Silva, Cleomar Gomes.
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5. A revisit on real interest rate parity hypothesis -- simulation evidence from efficient unit root tests. (2012). Lee, Cheng-Feng ; Tsong, Ching-Chuan .
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6. An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil. (2011). da Silva, Cleomar Gomes ; Leme, Maria Carolina da Silva, .
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7. An Analysis of the Degrees of Persistence of Inflation, Inflation Expectations and Real Interest Rate in Brazil. (2011). da Silva, Cleomar Gomes ; Maria Carolina da Silva Leme, .
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8. Statistical evidence on the mean reversion of interest rates. (2011). End, Jan Willem ; van den End, Jan Willem.
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9. Persistence and Cyclical Dependence in the Monthly Euribor Rate. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
   In: Discussion Papers of DIW Berlin.
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10. Persistence and Cyclical Dependence in the Monthly Euribor Rate. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
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11. Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics. (2008). Nesmith, Travis ; Jones, Barry.
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12. Linear cointegration of nonlinear time series with an application to interest rate dynamics. (2006). Nesmith, Travis ; Jones, Barry.
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13. A learning hypothesis of the term structure of interest rates. (2005). Romhányi, Balázs ; Romhanyi, Balazs.
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1. Affine representations of fractional processes with applications in mathematical finance. (2018). Harms, Philipp ; Stefanovits, David.
   In: Papers.
   RePEc:arx:papers:1510.04061.

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2. Persistence and cyclical dependence in the monthly euribor rate. (2016). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:40:y:2016:i:1:p:157-171.

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3. Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M.
   In: Econometrics.
   RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417.

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4. Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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5. Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate. (2014). Gu, Rongbao ; Li, Xinjie ; Chen, XI.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:412:y:2014:i:c:p:101-112.

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6. A fractional credit model with long range dependent default rate. (2013). Kluppelberg, Claudia ; Fink, Holger ; Biagini, Francesca.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:123:y:2013:i:4:p:1319-1347.

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7. Indirect Inference in fractional short-term interest rate diffusions. (2013). Laurini, Márcio ; Hotta, Luiz.
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:94:y:2013:i:c:p:109-126.

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8. Uncovering the US term premium: An alternative route. (2012). Moreno, Antonio ; Gil-Alana, Luis.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:36:y:2012:i:4:p:1181-1193.

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9. Inflation forecasting in Angola: a fractional approach. (2012). Gil-Alana, Luis ; Barros, Carlos.
   In: CEsA Working Papers.
   RePEc:cav:cavwpp:wp103.

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10. Interest rates factor model. (2011). Kim, Min Jae ; Lee, Sangwook.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:13:p:2531-2548.

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11. Inflation in South Africa. A long memory approach. (2011). Gil-Alana, Luis.
    In: Economics Letters.
    RePEc:eee:ecolet:v:111:y:2011:i:3:p:207-209.

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12. Persistence and Cyclical Dependence in the Monthly Euribor Rate. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1165.

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13. Persistence and Cyclical Dependence in the Monthly Euribor Rate. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3653.

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14. The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis. (2010). Panas, Epaminondas ; Ninni, Vassilia .
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xiii:y:2010:i:2:p:192-210.

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15. Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy. (2010). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Working Papers Series.
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16. Multi-Factor Gegenbauer Processes and European Inflation Rates. (2009). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2648.

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17. Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates. (2009). Zhang, Dayong ; Barassi, Marco.
    In: Discussion Papers.
    RePEc:bir:birmec:09-17.

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18. On the Generalized Brownian Motion and its Applications in Finance. (2008). Schiemert, Daniel ; Frederiksen, Per ; Hog, Esben .
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2008-07.

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19. On the need for a new approach to analyzing monetary policy. (2008). Kehoe, Patrick ; Atkeson, Andrew.
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20. Some comments on Hurst exponent and the long memory processes on capital markets. (2008). TRINIDAD, JUAN ; Pérez, Jose ; Perez, Garcia J. ; Trinidad Segovia, J. E., ; Sanchez Granero, M. A., .
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21. Is long memory necessary? An empirical investigation of nonnegative interest rate processes. (2008). Duan, Jin-Chuan ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:567-581.

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22. Comovements in Volatility in the Euro Money Market. (2007). MORANA, CLAUDIO ; Cassola, Nuno.
    In: ICER Working Papers.
    RePEc:icr:wpicer:7-2007.

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23. Long-range dependence and multifractality in the term structure of LIBOR interest rates. (2007). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:373:y:2007:i:c:p:603-614.

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24. Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter. (2007). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2007:i:67:p:1-10.

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25. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:194.

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26. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Hog, Espen P. ; Frederiksen, Per H..
    In: Finance Research Group Working Papers.
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27. Linear cointegration of nonlinear time series with an application to interest rate dynamics. (2006). Nesmith, Travis ; Jones, Barry.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-03.

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28. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
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29. Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks. (2005). Mayoral, Laura.
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30. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
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31. Long memory in the U.S. interest rate. (2004). Gil-Alana, Luis.
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32. Strong dependence in the real interest rates. (2003). Gil-Alana, Luis.
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    RePEc:taf:applec:v:35:y:2003:i:2:p:119-124.

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33. Long memory in the interest rates in some Asian countries. (2003). Gil-Alana, Luis.
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34. A Non-Parametric Dimension Test of the Term Structure. (2002). Rubio, Gonzalo.
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35. Shifting endpoints in the term structure of interest rates. (2001). Tinsley, Peter ; Kozicki, Sharon.
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36. Term structure views of monetary policy under alternative models of agent expectations. (2001). Tinsley, Peter ; Kozicki, Sharon.
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37. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Duan, Jin-Chuan ; Jacobs, Kris.
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38. Modeling long memory in stock market volatility. (2000). Liu, Ming.
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39. Estimating the differencing parameter via the partial autocorrelation function. (2000). CHONG, Terence Tai Leung.
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40. Optimal Investment, Growth Options, and Security Returns. (1998). Green, Richard ; Berk, Jonathan ; Naik, Vasant.
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41. Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter. (1997). Jensen, Mark.
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42. Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve. (1997). Startz, Richard ; Dueker, Michael.
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43. Two factors along the yield curve. (1996). Remolona, Eli ; Gong, Frank F..
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44. Nonlinear interest rate dynamics and implications for the term structure. (1996). Tschernig, Rolf ; Pfann, Gerard ; Schotman, Peter C..
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45. Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard.
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46. A simple long-memory equilibrium interest rate model. (1996). Duan, Jin-Chuan ; Jacobs, Kris.
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47. The term structure of interest rates in real and monetary economies. (1995). Denhaan, Wouter ; den Haan, Wouter J..
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48. Reverse Engineering the Yield Curve. (1994). Zin, Stanley ; Backus, David.
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49. An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates. (1994). Baum, Christopher ; Liu, Olin.
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50. Moving Endpoints in Macrofinance. (). Tinsley, Peter ; Kozicki, Sharon.
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